Value premium
Does Human Capital Risk Explain The Value Premium Puzzle?
... the Value premium arises ...the Value premium but it relies on asymmetric adjustment costs and an exogenously specified countercyclical price of ...a Value premium by assuming ...
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On Value Premium, Part II: The Explanations
... Banz and Breen [17] and Kothari, Shanken, and Sloan [18] suggests that “survivorship bias” may contribute to va- lue premium. Authors sometimes exclude bankrupted com- panies in their year-to-year calculations ...
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Three essays on the value premium : can investors capture the promised rewards?
... elusive value premium promised in the body of academic literature? Argawal and Wang (2007) recently argue that if high transaction costs prevent the arbitrage of the premium, then “value ...
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Value Premium and Portfolio Return Regime: Evidence from European Equities
... the value premium factor return, high-minus-low (HML), developed by Fama and ...the value premium factor return, HML, and the other is negatively associated with ...ue premium factor ...
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A new measure of equity and cash flow duration: the duration based explanation of the value premium revisited
... the value premium, as an upward-sloping equity yield curve implies a growth premium rather than a value ...the value premium can be explained by the value firms’ higher ...
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Rationalizing the value premium in emerging markets
... with value firms, growth firms face a wider array of strategic options, carrying various levels of ...contrast, value firms are prominent in mature and/or declining markets and face a more limited range of ...
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Private equity waves discovered : an analysis of the target value premium in continental Europe
... The effect of the first PTP wave was many bankruptcies and lack of trust of the financial system. The government acted with a large-scale anti-takeover legislation, political pressure against high leveraging and a credit ...
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On Value Premium, Part I: The Existence
... The authors then examined whether growth stocks’ siz- zling performances in the late 1990s could be explained by a sequence of unanticipated positive shocks to cash flows. Table 7 shows the results. Because the main con- ...
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Performances Appraisal of Real Estate Investment Trust in Borsa Istanbul
... The aim of this study is to performances appraisal of firms traded as the REITs in BIST during the period of 132 months between July 2005 and June 2016 are investigated by employing four different regression models (the ...
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Optimal Investment Reinsurance Strategies for Insurers with Mean Reversion and Mispricing under Variance Premium Principle
... expected value premium principle due to its simplicity and popularity in ...expected value premium ...reinsurance premium payments are calculated by using the va- riance premium ...
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SSRN-id2668359
... To establish the link between labor leverage and the value premium, we propose a production-based asset model of a firm that is exposed to perfect labor markets. The model extends that in Donangelo et al. ...
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The Effects of Systemic Risk on the Allocation between Value and Growth Portfolios
... absolute value than during the last ...for value (growth) stocks which are precisely the opposite reported from 1997 to ...the value premium is as high as ...negatively value stocks. ...
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Risk or Sentiment: Value and Size Premium under Terrorism
... Fama and French (1993) suggest that BE/ME ratio and size when combined with market beta can explain almost all of the variations in stock returns and that these cross-sectional variations cannot be explained when beta or ...
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Diversification, Specialization and Health Insurance Industry Development —An Empirical Research Based on VAR Model
... insurance premium income against life insurance, property in- surance, accident insurance’s has a strong response ...added value is roughly the same, about ...insurance premium income is processing a ...
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Optimal strategies for pricing general insurance
... average premium rates, assuming that the management objective of the insurer is to maximize the expected present value of wealth arising over a given finite time ...average premium rates over future ...
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Is there a producer quality wage premium similar to the exporter wage premium?
... wage premium has been widely studied in the literature on international ...wage premium at firm level, and if so, analyze whether its origin is similar to the exporter wage ...
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Momentum Effect, Value Effect, Risk Premium and Predictability of Stock Returns - A Study on Indian Market
... Predictability of stock returns from the perspective of financial anomalies is an interesting topic to explore for financial researchers. This paper explores the predictability of Indian stock market on the basis of risk ...
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Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling
... Extreme Value Theory (EVT) provides an adapted way to investigate catastrophic risks with a moderate amount of ...Extreme Value (GEV) or Generalized Pareto (GP) distributions through two different ...
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Securitizing Area Insurance: A Risk Management Approach
... paid to shorters, the lower the risk premium and the larger, in absolute value, the negative correlation between the supplier’s revenue per ha and area revenue per ha. Note also that in order to hold the ...
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Evaluation of Pupil Premium
... Pupil Premium to relieve budgetary pressures rather than using it to support disadvantaged ...Pupil Premium allocation on supporting disadvantaged pupils but this is not in fact the ...Pupil Premium ...
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